(This really should have been in the motors section, it has NOTHING to do with programming)
On the Motor Shield - Arduino motor/stepper/servo control page when you move the mouse over the picture a pop will say "DC adaptor or Ext. Power" when your mouse is pointing at the jumper. Remove the little plastic "bridge" it connects the two pins. Bridge in place - your using the Arduino supply jack. Bridge removed - you have to supply power to the motor shield on the blue block (another mouse-over pop up: "External power")